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A modified nonmonotone BFGS algorithm for unconstrained optimization
Xiangrong Li1, Bopeng Wang1, Wujie Hu1
1Guangxi Colleges and Universities Key Laboratory of Mathematics and Its Applications, College of Mathematics and Information Science, Guangxi University, Nanning, Guangxi P.R. China.
Abstract:
In this paper, a modified BFGS algorithm is proposed for unconstrained optimization. The proposed algorithm has the following properties: (i) a nonmonotone line search technique is used to obtain the step size [Formula: see text] to improve the effectiveness of the algorithm; (ii) the algorithm possesses not only global convergence but also superlinear convergence for generally convex functions; (iii) the algorithm produces better numerical results than those of the normal BFGS method.
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